Adapted optimal transport on filtered Gaussian processes reduces to a constrained Procrustes problem between Cholesky factors, yielding explicit martingale projections and asymptotic equivalence among bicausal couplings.
Multicausal transport: barycenters and dynamic matching.SIAM Journal on Financial Mathematics, 16(3):1104–1138, 2025
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.PR 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Adapted Optimal Transport between Filtered Gaussian Processes
Adapted optimal transport on filtered Gaussian processes reduces to a constrained Procrustes problem between Cholesky factors, yielding explicit martingale projections and asymptotic equivalence among bicausal couplings.